Abstract:
Since the last economic crisis, the management of liquidity risk has become one of the most challenging tasks in the
global financihl system, what led the Basel Committee on Banking Supervision (BCBS) and The Financial Services
Authority (FSA) to publish regulations and recommendations on liquidity risk management and supervision.
Therefore, all the institutions should apply Uquidity risk management requirements and build robust platforms thai
haye the abilty to monitor risk as fast as possible by capturing and collecting all relevant data from funding liquidity
and Market liquidity sources.
Complex Event Processing (CEP) is an Event Driven Architechrre (EDA) style consists of processing different
events within the distributed enterprise system, attempting to discover interesting information in timely manner. For
financial enterprises, it is very necessary to react imrnediately for information, because any information rnight
represent an opportunity or risk exposure'
In this dissertation, we propose a market tiquidity risk management platform based on CEP. We combine
between the monitoring of real-time risk factors, and the forecasting of intraday risk using intraday Liquidityadjusted Value at Risk (L-VaR) model
